Tag Archives: Quantitative

One estimate the maximum capacity of a quantitative trading strategy and analysis

 

 

How can one estimate the maximum capacity of a quantitative trading strategy?

This is a Quora people really like on my Facebook page. Check out some of the highlights:

Assuming you’ve got a strategy that captures actual alpha, you’ve got to build in an estimate for execution costs (easily added) and ‘slippage’.

 

That estimate will typically be concerned with 2 things, overall stock trading volume, and your intended order execution size. As your intended size increases, so does your slippage. When you get to the point that you can no longer add any volume (because slippage is eating all of your intended profit) you can use that number to back into your total strategy capacity.

 

You will always hear me talk about volume in my analysis I have been doing!

 

https://www.quora.com/How-can-one-estimate-the-maximum-capacity-of-a-quantitative-trading-strategy?fbclid=IwAR10fNCQQ_ZiGshE5kzm0NdaEaCWkoNiraSpQ7UYnwE8ivnJEUm4fFCB1PY

 

 

 

Find yesterdays analysis here

…be doing more of this type of analysis. I mostly focus on CFD and forex looking for patterns and relationships. I think i found some but it would be great if I could automate this whole process. I feel volume will be a big factor for executing orders if the instruments have low volume. As I have shown in this video, it seems Oanda does not update price moves if there are not another order.It seems to throw off the charts so I need to address in the Analytics service.

Analyzing markets today to forecast for tomorrow based on volume filtering

Live market analysis on Nov 1

Warning: As at the end of this video, I received a hater with a dislike and negative comment. This is sort of rampant on Youtube but I may move this type of LIVE analysis over to Facebook Live on my Facebook page of QuantLabsNet. Facebook only allows liking stuff so considering I provide this stuff for free, I am just figuring why tolerate the potential found ‘hate’ and ‘trolls found on  YouTube. Also, Facebook just reached in having more videos engagement vs Youtube anyhow. As a result, Facebook has a bigger and more positive audience as well.

Check out my Analytics for future analysis like this

Quant Analytics

Related website mentioned in this video

https://www.businesstimes.com.sg/banking-finance/australian-dollar-jumps-on-bumper-trade-surplus-new-zealand-dollar-firmer

https://www.oanda.com/forex-trading/tools/news-overlay

marketpulse.com/economic-events

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Website presents a series of lectures on quantitative economic modelling

Website presents a series of lectures on quantitative economic modelling

This includes Python and Julia

From someone on Facebook so thanks to them

http://lectures.quantecon.org/index.html

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Backtesting for Trading and Quantitative Momentum Strategy Courses POSTED by Dr Ernie Chan

Backtesting for Trading and Quantitative Momentum Strategy Courses POSTED by Dr Ernie Chan

Quantitative Momentum Strategies by Dr Ernie Chan

Register or more details  of either course at:

Backtesting by Dr Ernie Chan

http://quantlabs.net/academy/backtesting-dr-ernie-chan/

Quantitative Momentum Strategies by Dr Ernie Chan

http://quantlabs.net/academy/quantitative-momentum-strategies-dr-ernie-chan/

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Do You Need a FREE Introduction to Quantitative Trading -Lecture? He is a an 8 part series on Youtube

People really like this FREE stuff so here is one more to add to your pile. Man, there is too much out there don’t you think.

youtube
Need a FREE Introduction to Quantitative Trading -Lecture? He is a an 8 part series on Youtube
 – See more

This was suggested by YouTube. Here is a description of it:

 It is a science where mathematics and computer science meet. In this course, students study investment strategies from the popular academic literature and learn the fundamental mathematics and IT aspects of this emerging field. After satisfactorily completing this course, the students will have an overview of the necessary quantitative, computing, and programming skills in quantitative trading.

– See more

Also, I just made this video this week so check it out here:
Who are the top income earners on the planet? DOH! Hedge fund managers and algo traders 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Need a FREE Introduction to Quantitative Trading -Lecture? He is a an 8 part series on Youtube

Need a FREE Introduction to Quantitative Trading -Lecture? He is a an 8 part series on Youtube

This was suggested by Yuutube. Here is a description of it:

 It is a science where mathematics and computer science meet. In this course, students study investment strategies from the popular academic literature and learn the fundamental mathematics and IT aspects of this emerging field. After satisfactorily completing this course, the students will have an overview of the necessary quantitative, computing, and programming skills in quantitative trading.

 

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This is the first of the series:

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Introducing the Analytics Kinentics Facebook and Youtube channel on Quantitative Trading and Research

Introducing the Analytics Kinentics Facebook and Youtube channel on Quantitative Trading and Research

From the description:

Low and Medium Frequency Quantitative Trading of Derivatives (Specializing in SPX and VIX Options and ES Futures)

https://www.facebook.com/analyticalkinetics/info

https://www.youtube.com/channel/UCHrkI9tKpZYuLTGP7g9JweA

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

CERTIFICATE IN QUANTITATIVE FINANCE Presentation: Careers in Quant Finance and the CQF

CERTIFICATE IN QUANTITATIVE FINANCE Presentation: Careers in Quant Finance and the CQF

 

Wednesday, May 14, 2014

7:00 PM

 

Careers in Quant Finance and the CQF

Are you interested in a career in quant finance?  If you are looking for a quant analyst role in risk, structuring, derivatives, IT or in any area that requires quant mastery, attend this 45 minute online session for an overview of employment trends and opportunities.  We’ll also discuss the various quant finance accreditations available, including the Certificate in Quantitative Finance (the CQF).

Note that this will be streamed on different technology outside of GotoWebinar. Login info will be posted before the event.

http://www.meetup.com/quant-finance/events/180749572/

http://www.meetup.com/R-Matlab-Users/events/180749512/

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Amazing tutorials ! R for Quantitative Finance Tutorial 3 Quantmod TTR XTS Object

Amazing tutorials ! R for Quantitative Finance Tutorial 3 Quantmod TTR XTS Object

HOLY This guy  is doing amazing stuff. Check him out at https://www.youtube.com/user/creeveshft

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!